Dr Zhivodka, Do you still have any credit left when you buy in the wings or do you have to trade around the position to make money at that point?
Yes, Taleb was hunting for high level sigma events. I would imagine this was psychologically painful. He and victor actually held each other's inventory. Risky, yes. Spikes come with the territory, watch the exits. All months profitable recently. otm amount varies with volatility. Pretty much symmetrical, the skew naturally favors an uptrending market. I change one parameter in the model for a bear market.
annualised return above 120% is to risky for my taste anways. the last nine months were not perfect for the game i would think. that was already in low vola area and there some significant spikes, like the 12 to 18 (always referrring to the VIX) some weeks ago. how did you handel that? no issue? if i may ask, how far OTM did you go? sold strangles i assume? do you make the position symmetric or let that be determinded by the skew in calls, resp puts.
Ansbacher talks in general terms about what he does. There is much more than what he has disclosed, exiting on a double would not net the curve he has achieved. As has been said before, nearly all the premium sellers today are in business and stay in business and cranking out decent returns from using spreads or hedges against the sold positions. The "degree of nakedness" varies, but all need to have discipline to keep the ball rolling.
many people are intimidated by shorting premium. they have probably been awfully burnt because they had little discipline or demonstrated remarkable stubbornness. these are characterisitics that are simply unacceptable. ansbacher's approach is actually far more "conservative" than most "limited risk" premo-buying funds out there. he doesn't even max out his capital. and he's been quite successful because he takes action before the heat ever boils over. rule #1: when you're writing premo, you can't sit around like a stoned hippy and do nothing when the edge shifts. that's how people let things get out of hand, blow up, and end up with massacre tales. you have to always be flexible, able to react, play some defense, and ready to convert, or counter move to slip out of a tidal wave. you can retain almost everything if you do it right.
I almost exclusively sell premium. Tend to sell as far out of the money as I can and buy some ATM options with some of the premium. Sometimes I even make good money on the ATM options as long as the market somewhat slowly approaches the OTM options thus making the ATM options ITM. But mainly just trying to collect premium. I always exit a position usually in its entirety if the market starts to immediately move against me within a few weeks of putting it on. I'll put stuff on anywhere from a few weeks to 6 months from expiration just depending on my view on volatility and direction of the market. And I do hedge my deltas at times using the underlying. With the recent spike in the VIX I did take a pretty big hit, although not in the american markets. I misspriced some serial SPI options and the market dropped fairly hard the day after I put it on. And since I was the only open interest in the month it took a while to get out since I had a fairly big position. Was up 28% at the time (April), went down to 10%, but back to 27% mainly thanks to ATM June puts that I had put on as hedges. Stopped trading SPI serial options cause I really just can't price them right. But besides those serial SPI options I was fine, had a decent size position in the YM options (front month, short OTM puts), and the and a pretty big SPI June short OTM puts position.
My sister has a managed account with Ansbacher, so she gets to see the exact trades that he takes on her behalf. I asked her for some general (i.e. not specific) details about her statements. She replied, I'm looking at my statement for June 2nd 2005. On that day my Ansbacher account executed trades in: * 10 Year Notes, wrote a strangle (sold both Puts and Calls) * S&P 500, Puts, wrote a bear spread * S&P 500, Calls, wrote a bull spread Last month (May 2005) my account also traded puts and calls on 30 Year T-Bonds Those of you who are really curious about how Ansbacher trades, can do the same thing. Wire him $500K (or maybe the minimum is $1M? IASG website is down and I can't check...), open an account, and sit back. When your statements arrive, analyse them studiously.